Children usually realise their position in the world when they start school, as they begin friendships with other children and begin to understand that they are not the most important person in the world and that they share their existence with a lot of other people outside of the immediate family.
I would imagine in the case of the Romanov children that it was actually quite a slow realisation for them that they were different, as they had very little interaction with children outside of the family. Understanding their own importance in a political sense would be something they would have had to have explained to them, as if all they ever saw was palaces and fancy clothes, they would never have understood that not everyone lived in the same way they did. It was probably a rather organic process- them seeing things and asking questions and then gathering their difference from other people gradually. For example, on their way to somewhere in a carriage, one of the children may have noticed some other children playing in the street, and asked why they couldn't do the same, etc. Children are very perceptive of difference as they grow older, and so as they became more self aware, the questions would have come quite thick and fast. The trouble is in ascertaining whether the children actually understood what it was to be Grand Duchesses and a Tsesarevich until they were quite old. In a family where everyone has a title, it must be difficult to understand what significance that has in the wider world as a child.
Does anyone have any concrete information on this, rather than just conjecture, as my post undoubtedly is??
Rachel
xx